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Forex R-Multiple & Win/Loss Correlation Table

  • #21
  • Jun 21, 2024 12:47pm Jun 21, 2024 12:47pm
Quoting yoriz
{quote} Happy experimenting!
We'll see how this acct does.. I may not even use a 3rd level. Mathematically I should be 3-deep at least a couple times if entries are random.

Another observation I noticed.. if I enter a sell on say an upper BB break, I'll have much less drawdown and slightly better returns if I use the same criteria to reenter as opposed to a set grid or fixed "50 pip reenter" deal. So I'll use the same short entry signal with at least 50 pips of distance. So this may be a 65 pip reentry and a 130 pip reentry instead of 50 & 100 pips. Much better results.
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  • #22
  • Jun 21, 2024 4:18pm Jun 21, 2024 4:18pm
Quoting Ryan420
I'll have much less drawdown and slightly better returns if I use the same criteria to reenter as opposed to a set grid or fixed "50 pip reenter" deal.
Will you keep the 1st trade open all that time, or close it at 50 pips down and only use the 2nd trade to recover?

Where will you put the TP now? 25 pips from the actual entry of the 2nd trade? Or 25 pips from where the 2nd trade should have been (i.e. at 50 pips down from the 1st trade)?
  • #23
  • Jun 21, 2024 4:43pm Jun 21, 2024 4:43pm
I’m following ur discussion, looks very exciting!
  • #24
  • Jun 21, 2024 5:23pm Jun 21, 2024 5:23pm
Quoting yoriz
{quote} Will you keep the 1st trade open all that time, or close it at 50 pips down and only use the 2nd trade to recover? Where will you put the TP now? 25 pips from the actual entry of the 2nd trade? Or 25 pips from where the 2nd trade should have been (i.e. at 50 pips down from the 1st trade)?
From my back testing results, I'll keep the initial trade open, open a new trade when entry criteria is met, and price is >50 pips. As of now, I try to keep the 2nd trade probability static.. it'll be +25 pips from the 2nd entry. Which also means that the 2nd entry cannot be more than 70 pips from the first to get back over breakeven.
When -70 down, it'll be +25 pips to get the +50 with 2 positions, and the first be -45 to give +5 net.

I'm still exploring this area of the strategy.. in the meantime I will side with the lower reward for now to mitigate the risk of holding for more profits.
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  • #25
  • Jun 24, 2024 4:29am Jun 24, 2024 4:29am
Quoting Ryan420
{quote} From my back testing results, I'll keep the initial trade open, open a new trade when entry criteria is met, and price is >50 pips. As of now, I try to keep the 2nd trade probability static.. it'll be +25 pips from the 2nd entry. Which also means that the 2nd entry cannot be more than 70 pips from the first to get back over breakeven. When -70 down, it'll be +25 pips to get the +50 with 2 positions, and the first be -45 to give +5 net. I'm still exploring this area of the strategy.. in the meantime I will side with the lower reward for now...

Looks like it's about money management rather than improving accuracy of signals. I don't think you can improve results simply by "shifting weights", like RR 2:1 isn't better than 1:2, total result will be same, only win rate and profit per trade will change
  • #26
  • Jun 24, 2024 6:22am Jun 24, 2024 6:22am
Quoting pizd0s
{quote} Looks like it's about money management rather than improving accuracy of signals. I don't think you can improve results simply by "shifting weights", like RR 2:1 isn't better than 1:2, total result will be same, only win rate and profit per trade will change
Exactly. I discovered this by back testing with a 1:1. Random or planned entries both had almost the same exact results. R-multiples don't matter too much either. I just like to have more winners than losers, thus a sub-1R
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  • #27
  • Jun 24, 2024 10:16am Jun 24, 2024 10:16am
Quoting yoriz
I don't know if you are a MetaTrader 5 user, but here is the expert advisor I wrote should you want to play with it: {file}
Would it be cheating if I optimized the lot & multiplier sections? I removed the stop loss, optimized some good 10x results before ruin. May be able to double, cash out, double, cash out, ruin.
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  • #28
  • Jun 24, 2024 10:26am Jun 24, 2024 10:26am
Quoting Ryan420
Would it be cheating if I optimized the lot & multiplier sections?
Yes ;-)

You can go a long way optimizing these levels. In The Myth of Averaging thread I did something similar with purely random entries. You might want to check that out.
  • #29
  • Jun 24, 2024 10:33am Jun 24, 2024 10:33am
Quoting yoriz
{quote} Yes ;-) You can go a long way optimizing these levels. In The Myth of Averaging thread I did something similar with purely random entries. You might want to check that out.
Reading that right now, thank you. I would say I trade with a grid, except I choose the S/R level just past where the grid would be.. usually it coincides directly if I buy at 1.0750, and 50 pips below, 1.0700 is also an area of support.
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  • #30
  • Last Post: Oct 8, 2024 11:08am Oct 8, 2024 11:08am
Quoting Ryan420
Figure I'd post on FF as well. Ran through these Risk-Reward scenarios to show their win %. These numbers are self-evident; the building blocks to a quantitative strategy. Use as a reference. R Value(Reward/Risk) - Expected win % 0.02 - 97.7% 0.05 - 95.0% 0.1 - 90.0% (10:1) 0.15 - 86.4% 0.2 - 83.3% (5:1) 0.25 - 80.0% 0.3 - 76.0% 0.35 - 73.3% 0.4 - 71.2% 0.5 - 66.6% (2:1) 0.6 - 61.5% 0.7 - 57.7% 0.8 - 54.0% 0.9 - 52.0% 1.0 - 50.0% (1:1 Risk:Reward) 1.1 - 47.0% 1.2 - 45.0% 1.3 - 43.0% 1.4 - 41.3% 1.5 - 40.0% 1.7 - 36.0% 2.0 - 33.3% (1:2) 2.5 - 28.3%...
Hi Ryan, thanks for these results.

I am of the same opinion that over a sufficiently long period and with random entries, the RR does not change the final result. However, recently I am challenging this theory. Observed as a whole, even the number of up / down ticks is always 50/50, but reality is hidden in the aggregated data.

Let's take a practical example, assume a strategy with random entries and RR 1:1. However, instead of setting a TP we set a BE + trailing stop once the TP is reached (to activate the BE a minimum space from the TP will be needed)

If the concept of RR were still valid in this situation, I would expect to see no difference from this scenario. Yet there will be outliers, situations in which the trail stop produces a TP greater than the fixed reward, and this could unbalance the RR. What do you think?
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